Stochastic Optimization in Robust Statistic

2000 Mathematics Subject Classification: 62J05, 62G35

On a Stochastic Partial Differential Equation with a Noisy Term

2000 Mathematics Subject Classification: 60H15, 60H40

A Stochastic Approach for Finding of Semantically Related Words

2000 Mathematics Subject Classification: 62P99, 68T50

A Generalized Quasi-Likelihood Estimator for Nonstationary Stochastic Processes−Asymptotic Properties and Examples

2010 Mathematics Subject Classification: 62F12, 62M05, 62M09, 62M10, 60G42.

State-owned enterprises, exporting and productivity in China:a stochastic dominance approach

A popular explanation for China's rapid economic growth in recent years has been the dramatic increase in the number of private domestic- and foreign-owned firms and a decline in the state-owned sector. However, recent evidence suggests that China's state-owned enterprises (SOEs) are in fact stronger than ever. In this paper, we examine over 78,000 manufacturing firms between 2002 and 2006 to investigate the relationship between ownership structure and the degree of firm-level exposure to export markets and firm-level productivity. Using a conditional stochastic dominance approach, we reveal that although our results largely adhere to prior expectations, the performance of SOEs differs markedly between those that export and those that supply the domestic market only. It appears that China's internationally focused SOEs have become formidable global competitors. © 2013 John Wiley & Sons Ltd.

Optimal investment under stochastic volatility and power type utility function

2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20.

Non-stationary stochastic inventory lot-sizing with emission and service level constraints in a carbon cap-and-trade system

Firms worldwide are taking major initiatives to reduce the carbon footprint of their supply chains in response to the growing governmental and consumer pressures. In real life, these supply chains face stochastic and non-stationary demand but most of the studies on inventory lot-sizing problem with emission concerns consider deterministic demand. In this paper, we study the inventory lot-sizing problem under non-stationary stochastic demand condition with emission and cycle service level constraints considering carbon cap-and-trade regulatory mechanism. Using a mixed integer linear programming model, this paper aims to investigate the effects of emission parameters, product- and system-related features on the supply chain performance through extensive computational experiments to cover general type business settings and not a specific scenario. Results show that cycle service level and demand coefficient of variation have significant impacts on total cost and emission irrespective of level of demand variability while the impact of product's demand pattern is significant only at lower level of demand variability. Finally, results also show that increasing value of carbon price reduces total cost, total emission and total inventory and the scope of emission reduction by increasing carbon price is greater at higher levels of cycle service level and demand coefficient of variation. The analysis of results helps supply chain managers to take right decision in different demand and service level situations.

Solar pond powered liquid desiccant evaporative cooling

Liquid desiccant cooling systems (LDCS) are energy efficient means of providing cooling, especially when powered by low-grade thermal sources. In this paper, the underlying principles of operation of desiccant cooling systems are examined, and the main components (dehumidifier, evaporative cooler and regenerator) of the LDCS are reviewed. The evaporative cooler can take the form of direct, indirect or semi-indirect. Relative to the direct type, the indirect type is generally less effective. Nonetheless, a certain variant of the indirect type - namely dew-point evaporative cooler - is found to be the most effective amongst all. The dehumidifier and the regenerator can be of the same type of equipment: packed tower and falling film are popular choices, especially when fitted with an internal heat exchanger. The energy requirement of the regenerator can be supplied from solar thermal collectors, of which a solar pond is an interesting option especially when a large scale or storage capability is desired.

Dynamics of cholesteric liquid crystals in the presence of a random magnetic field:stochastic dynamics of cholesteric liquid crystal

Based on dynamic renormalization group techniques, this letter analyzes the effects of external stochastic perturbations on the dynamical properties of cholesteric liquid crystals, studied in presence of a random magnetic field. Our analysis quantifies the nature of the temperature dependence of the dynamics; the results also highlight a hitherto unexplored regime in cholesteric liquid crystal dynamics. We show that stochastic fluctuations drive the system to a second-ordered Kosterlitz-Thouless phase transition point, eventually leading to a Kardar-Parisi-Zhang (KPZ) universality class. The results go beyond quasi-first order mean-field theories, and provides the first theoretical understanding of a KPZ phase in distorted nematic liquid crystal dynamics.

Stochastic calculations for fibre Raman amplifiers with randomly varying birefringence

For the first time for the model of real-world forward-pumped fibre Raman amplifier with the randomly varying birefringence, the stochastic calculations have been done numerically based on the Kloeden-Platen-Schurz algorithm. The results obtained for the averaged gain and gain fluctuations as a function of polarization mode dispersion (PMD) parameter agree quantitatively with the results of previously developed analytical model. Simultaneously, the direct numerical simulations demonstrate an increased stochastisation (maximum in averaged gain variation) within the region of the polarization mode dispersion parameter of 0.1÷0.3 ps/km1/2. The results give an insight into margins of applicability of a generic multi-scale technique widely used to derive coupled Manakov equations and allow generalizing analytic model with accounting for pump depletion, group-delay dispersion and Kerr-nonlinearity that is of great interest for development of the high-transmission-rates optical networks.

Stochastic anti-resonance in a fibre Raman amplifier

Stochastic anti-resonance, that is resonant enhancement of randomness caused by polarization mode beatings, is analyzed both numerically and analytically on an example of fibre Raman amplifier with randomly varying birefringence. As a result of such anti-resonance, the polarization mode dispersion growth causes an escape of the signal state of polarization from a metastable state corresponding to the pulling of the signal to the pump state of polarization.This phenomenon reveals itself in abrupt growth of gain fluctuations as well as in dropping of Hurst parameter and Kramers length characterizing long memory in a system and noise induced escape from the polarization pulling state. The results based on analytical multiscale averaging technique agree perfectly with the numerical data obtained by direct numerical simulations of underlying stochastic differential equations. This challenging outcome would allow replacing the cumbersome numerical simulations for real-world extra-long high-speed communication systems.

Liquid desiccant dehumidification and regeneration process to meet cooling and freshwater needs of desert greenhouses

Agriculture accounts for ~70% of freshwater usage worldwide. Seawater desalination alone cannot meet the growing needs for irrigation and food production, particularly in hot, desert environments. Greenhouse cultivation of high-value crops uses just a fraction of freshwater per unit of food produced when compared with open field cultivation. However, desert greenhouse producers face three main challenges: freshwater supply, plant nutrient supply, and cooling of the greenhouse. The common practice of evaporative cooling for greenhouses consumes large amounts of fresh water. In Saudi Arabia, the most common greenhouse cooling schemes are fresh water-based evaporative cooling, often using fossil groundwater or energy-intensive desalinated water, and traditional refrigeration-based direct expansion cooling, largely powered by the burning of fossil fuels. The coastal deserts have ambient conditions that are seasonally too humid to support adequate evaporative cooling, necessitating additional energy consumption in the dehumidification process of refrigeration-based cooling. This project evaluates the use of a combined-system liquid desiccant dehumidifier and membrane distillation unit that can meet the dual needs of cooling and freshwater supply for a greenhouse in a hot and humid environment.

Bevezetés a sztochasztikus analízisbe közgazdászoknak (Introducing stochastic analysis)

A dolgozat célja, hogy rövid bevezetést adjon a folytonos idejű sztochasztikus analízisbe. A hazai pénzügyi oktatási gyakorlat nagyrészt a diszkrét idejű és gyakran diszkrét állapotterű modellekre épül. Ennek oka a folytonos időparaméterű sztochasztikus folyamatok elméletétől való érthető idegenkedés. A folytonos időparaméterű sztochasztikus analízis a modern matematika egyik csúcsteljesítménye, amely teljeskörű matematikai megértése egyrészt feltételezi, hogy az olvasó tisztában van a modern analízis szinte minden részletével; másrészt a matematikai részletek pontos megértése nem sok segítséget jelent a pénzügyi gondolatok elsajátításakor. / === / In the article we present a short, intuitive introduction to stochastic analysis. Our presentation is aimed for economist and we try to discuss only the most elementary properties of the stochastic analysis. Instead of precise proofs we present some simplified intuitive arguments. The central concept of the discussion is the quadratic variation and the Itō's lemma.

Stochastic bankruptcy games

We study bankruptcy games where the estate and the claims have stochastic values. We use the Weak Sequential Core as the solution concept for such games. We test the stability of a number of well known division rules in this stochastic setting and find that most of them are unstable, except for the Constrained Equal Awards rule, which is the only one belonging to the Weak Sequential Core.

Sztochasztikus csődjátékok - avagy hogyan osszunk szét egy bizonytalan méretű tortát? = Stochastic bankruptcy games. How can a cake of uncertain dimensions be divided?

A kooperatív játékelmélet egyik legjelentősebb eredménye, hogy számos konfliktushelyzetben stabil megoldást nyújt. Ez azonban csak statikus és determinisztikus környezetben alkalmazható jól. Most megmutatjuk a mag egy olyan kiterjesztését - a gyenge szekvenciális magot -, amely képes valós, dinamikus, bizonytalan környezetben is eligazítást nyújtani. A megoldást a csődjátékok példájára alkalmazzuk, és segítségével megvizsgáljuk, hogy a pénzügyi irodalom ismert elosztási szabályai közül melyek vezetnek stabil, fenntartható eredményre. _______ One of the most important achievements of cooperative game theory is to provide a stable solution to numerous conflicts. The solutions it presents, on the other hand, have been limited to situations in a static, deterministic environment. The paper examines how the core can be extended to a more realistic, dynamic and uncertain scenario. The bankruptcy games studied are ones where the value of the estate and of the claims are stochastic, and a Weak Sequential Core is used as the solution concept for them. The author tests the stability of a number of well known division rules in this stochastic setting and finds that most are unstable, except for the Constrained Equal Awards rule, which is the only one belonging to the Weak Sequential Core.